Transmission Mechanism of Monetary Policy in Central and Eastern Europe

Ganev, Georgy; Molnár, Krisztina; Rybiński, Krzysztof; Woźniak, Przemysław

doi:10.2139/ssrn.1432336

Cited by 74 publications

(72 citation statements)

References 39 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…23 Notably Anzuini and Levy (2004), Borhijs and Kuijs (2004), Creel and Levasseur (2004), EFN (2004), Ganev et al (2002), Gunduz (2003), Hericourt and Matei (2004), Jarocinski (2004), and Kuijs (2002. 24 Using the same recursive identification scheme as Anzuini and Levy (2004) (they also perform nonrecursive-Kim (1999)-type identification schemes), on the same sample with the same number of lags, but with our own dataset and the nominal effective exchange rate replacing their commodity price index, we have been unable to replicate their IRFs for Hungary and Poland.…”

Section: Discussionmentioning

confidence: 99%

“…This result contrasts with some studies on MPT mechanisms applied either to the euro area or to the CEECs (for instance, Peersman and Smets (2003) and EFN (2004) for the euro area; Gunduz (2003) for the Czech Republic; Creel and Levasseur (2004) for the Czech Republic, Hungary and Poland). Exceptions are Ganev et al (2002) in the Czech case; Anzuini and Levy (2004) for the Czech Republic and Poland (but the "price puzzle" is not robust to the adoption of a shorter sample period); Hericourt and Matei (2004) in the Czech case, and Jarocinski (2004) for a group of CEECs countries.…”

Section: The Baseline Varmentioning

confidence: 99%

“…3 For theoretical developments, see for instance Bernanke and Blinder (1993) and Kierzenkowski (2004). 4 For a survey on MPT mechanisms in CEECs, see for instance Ganev et al (2002). For studies focusing on EMU members, see for instance Angeloni et al (2003).…”

Section: Introduction and Motivationsmentioning

confidence: 99%

See 2 more Smart Citations

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Creel

Levasseur²

2005

SSRN Journal

View full text Add to dashboard Cite

We use a structural VAR model with short-term restrictions to investigate the relative importance of interest rate, exchange rate and credit channels in the monetary policy transmission (MPT) for the Czech Republic, Hungary and Poland over 1993:1-2004:3. Main results are as follows. First, in the three countries, following a positive shock on the interest rate, prices increase instead of decreasing, due to the immediate depreciation of the nominal exchange rate. The results thus exhibit an "exchange rate" puzzle conducing to the appearance of a "price-puzzle". Second, none channel is very powerful for the MPT in the three countries. Nevertheless, the exchange rate and the interest rate channels play a growing role over the recent period in Poland, compared with the same channels in the Czech Republic and Hungary. As nominal exchange rate fluctuations allow for greater real shocks dampening in Poland, the cost of entering EMU may be more costly for this country than for the Czech Republic or Hungary. * We are grateful to Benoît Usciati for his able research assistance. The usual disclaimer applies.

show abstract

Section: Discussionmentioning

confidence: 99%

Section: The Baseline Varmentioning

confidence: 99%

See 1 more Smart Citation

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Creel

Levasseur²

2005

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…A useful early survey for the Central and Eastern European transition economies by Ganev et al (2002) found weak evidence (using a variety of methodologies) for transmission from central bank policy rates to commercial bank lending rates in individual country studies for countries in this region, but almost no evidence for the effects of bank lending rates on aggregate demand. Individual country studies conducted subsequently in the same region found more mixed results for the link between policy instruments and bank lending rates.…”

Section: B Transition Economies In Central and Eastern Europementioning

confidence: 99%

How Effective is Monetary Transmission in Low-Income Countries? A Survey of the Empirical Evidence

Mishra

Montiel

2012

IMF Working Papers

View full text Add to dashboard Cite

This paper reviews the monetary transmission mechanism in low income countries (LICs). We use monetary transmission in advanced and emerging markets as a benchmark to identify aspects of the transmission mechanism that may operate differently in LICs. In particular, we focus on the effects of financial market structure on monetary transmission. The weak institutional framework prevalent in LICs drastically reduces the role of securities markets and increases the cost of bank lending to private firms. Coupled with imperfect competition in the banking sector, this means that banks with chronically high excess reserves invest in domestic public bonds or (when possible) in foreign bonds. With the financial system not intermediating funds properly, the traditional monetary transmission channels (interest rate, bank lending, and asset price) are impaired. The exchange rate channel, on the other hand, tends to be undermined by central bank intervention in the foreign exchange market. These conclusions are supported by review of the institutional frameworks, statistical analysis, and previous literature.

show abstract

“…However, it has been observed that the transmission mechanism of monetary policy works through various channels namely exchange rate channel, interest rate channel, bank credit channel and other assets price effect channel (also known as equity price channel) to affect different markets, institutions, sectors at different speeds and intensities (Mihov, 2001;Ganev et al, 2002;Kujis, 2002;Cecchetti, 1999;Elboune et al, 2003;and Juks, 2004).…”

Section: Introductionmentioning

confidence: 99%